

File ``CompanyExposureMEasures.dta'' contains the company exposure measures.
File ``StockReturnsIntraDay.dta'' contains the high-frequency stock returns around the event windows
File `'OptionImpliedProbability.dta' contains the option-implied probability of the reform
File ``MarketCap.dta'' contains permno, day and market capitalisation
File ``AdjustedReturns_daily.dta'' contains permno, ticker, gvkey, lagged market cap, raw returns, capm adjusted returns, FF3 adjusted returns, FF4 adjusted returns
File ``StockReturnsIntraDay_series.dta'' contains the cumulative returns from 20 minutes before the tax event to 100 minutes afterwars. 

File ``CountryExposureMeasures.dta'' contains the country-level exposure measure	
File ``CountriesCDS.dta'' contains the CDS for our sample of countries
File ``CountriesCumulativeCDS.dta'' contains cumulative CDS changes from four days before the tax event to 12 business days afterward

Note:  we report pseudo-data due to copyrights. The data included in this file do not have any relationship with the actual datasets.

